Chance-Constrained Programming with Joint Constraints

Raj Jagannathan

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

Abstract

Miller and Wagner have shown that a deterministic equivalent of a joint chance-constrained programming model with independent random right-hand-side elements is a concave programming problem. This paper obtains similar equivalents for chance-constrained programming models with coefficient matrices whose elements are normally distributed and with dependent random right-hand-side elements.

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1959Chance-Constrained Programming 1963Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints 1963A Stochastic Programming Model 1965Chance Constrained Programming with Joint Constraints

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1985Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models 1994A joint chance-constrained programming model with row dependence 2014The Stochastic Resource-Constrained Project Scheduling Problem

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